研究期間：10308~10407;Macroeconomic Information and Trading Activities in the Foreign Exchange Market Using the data from the Electronic Broking Services (EBS), which operates an electronic (order driven) broker among foreign exchange (FX) interbank transactions across the globe in major currencies, this project studies the price formation and trading activities in the FX interdealer market around real-time macroeconomic announcements. This project provides evidence on how FX dealers interact and respond to information uncertainty and information asymmetry arisen from news events. Using the EUR-USD and USD-JPY quotes, deal prices, and trade size from the EBS from the period between 2009 and 2012, this project will investigate two related themes regarding FX interdealer market activities in two years. In the first year, I will study the response of exchange rate movements to order flow and real-time macroeconomic news. This project considers important macroeconomic announcements in the Japan, U.S., and Euro-area. After grouping orders in a 5-minute interval into three categories by the extent of aggressiveness, we can investigate how the macroeconomic information is incorporated into exchange rates through marketable orders, impatient limit orders, and patient limit orders. In the second year, I further study order submission strategies around the release time of macroeconomic news . In principal, the year-1 sub-project can identify how trade informativeness differs with the aggressiveness of order in the EBS interdealer spot market and examine how “non-common knowledge” information from a piece of macroeconomic news is transmitted into exchange rates through various type of orders by aggressiveness. The year-2 sub-project provides insights on dealers' reactions to information uncertainty prior to a macroeconomic announcement, as well as the information asymmetry arising from dealers' heterogeneous expectations on the fundamental value of exchange rate corresponding to a macroeconomic announcement.
